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This paper probes into institutional investor¡¦s impact on Taiwan¡¦s stock market and its shareholding ratio in the relation of return. We aim to find out an effective return index of degree in order to provide another reference basis for investors. This research uses listed companies from 1999 to 2003 as sample. The analysis result shows that Taiwan has gone against the phenomenon of book-to-market and size effect in the past five years, and institutional investors¡¦ partiality is one of the reasons causing this phenomenon. The stock with high share of all kinds of institutional investors is expected to have high return in addition. In consideration of the momentum of the share of all kinds of institutional investors, we are unable to prove that the stock which has the positive momentum of share of all kinds of institutional investors will yield high return. The size factor and book-to-market ratio factor at the regular value prove whether institutional investors still have the ability to select stocks. The result proves that the group with high share of all kinds of institutional investors still has high return under the same book-to-market ratio and size factor, and proves that institutional investors indeed have better tactics in selecting stocks.

本文嘗試利用涉險值（VaR）的估計來衡量投資組合風險和規模效果之間的關係。在歷史模擬法、變異-共變異法及極端值法估計VaR的結果中，皆得到小規模策略投資組合之可能損失風險額大於大規模策略投資組合。由VaR的估計，我們可得以下結論：規模溢酬和風險具有高度相關。小規模策略投資組合的風險高於大規模策略投資組合，故需具備較大規模策略投資組合為高之風險溢酬。 而投資人若進行買進小規模策略投資組合及賣出大規模策略投資組合，則因所承擔之風險較高，故所獲致優於大盤的績效，便在於彌補其所承擔的風險。此結果支持理性資產定價模式（Rational Asset Pricing）的論點。